Interest Rate Models
Edition: 1 edition
Publisher: Springer
Published: August 9, 2001
Language: eng
Format: Hardcover
Number of pages: 518
ISBN-13: 9783540417729
Subjects: Finance; Financial reporting, financial statements; Mathematical modelling; Mathematical Models; Economics - General; Financial Markets; Probability & Statistics - General; Business & Economics; Business / Economics / Finance; Interest rates; Business/Economics; Interest; Business & Economics / Finance; JEL classification: G12, G13, E43; MSC (2000): 60H10, 60H35, 62P05, 65C05, 65C20, 90A09; calibration; Prices; Applied; Derivative securities
First sentence: The concept of interest rate belongs to our every-day life and has entered our minds as something familiar we know how to deal with.
Description: This book explains how Interest-rate models work and shows how to implement them for concrete pricing. The revised 2nd edition of this book incorporates considerable new material, including sections on local-volatility dynamics, and on stochastic volatility models.